1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report conducts a detailed analysis of the convertible bond investment strategies and preferences of different types of investment institutions, aiming to form a handbook for analyzing the behavior of convertible bond investment institutions. It focuses on an overview and the public fund section, considering the significant differences in investment strategies and information disclosure mechanisms between public funds and non - public funds [1][9]. 3. Summary According to Relevant Catalogs 3.1 Convertible Bond Investment Institutions and Analysis Method Overview - **Investor Structure and Proportion**: As of the end of July 2025, public funds and enterprise annuities are the "main forces" in direct convertible bond investment. Public funds hold a significant proportion, with 35.56% of the face value of Shanghai - listed convertible bonds and 33.31% of the market value of Shenzhen - listed convertible bonds. Enterprise annuities are the second - largest investment institutions, holding 18.41% of Shanghai - listed convertible bonds and 13.23% of Shenzhen - listed convertible bonds. Insurance institutions, securities self - operation also occupy important positions. Other professional institutional investors hold a relatively small proportion [10]. - **Changes in Investor Structure**: Compared with the end of 2021, the "influence" of public funds and insurance institutions has increased, while the proportion of enterprise annuities has decreased. The investment proportions of securities self - operation, private funds, and trust institutions have increased, and the proportion of general institutional investors represented by listed company shareholders has significantly decreased [13]. - **Differences in Investment Strategies**: Different types of professional institutional investors have differences in convertible bond investment restrictions, preferences, and investment strategies. Public funds generally have fewer restrictions on convertible bond ratings and focus on relative returns. Pension funds, insurance institutions, and social security funds have clear rating restrictions and focus on absolute returns [19]. - **Analysis Data Sources**: For public funds, quarterly reports can be used to analyze their convertible bond investment preferences. For other investment institutions, the top ten holders of convertible bonds disclosed in the semi - annual and annual reports of convertible bond issuers provide detailed analysis materials [20]. 3.2 What are the Characteristics of Public Funds' Convertible Bond Investment? 3.2.1 Overview of Public Funds' Convertible Bond Holdings - **Scale and Proportion Changes**: Since Q4 2023, the market value and proportion of convertible bonds held by public funds have been slightly decreasing. The number of public funds investing in convertible bonds has decreased overall, but their participation in the convertible bond market has increased [24]. - **Industry Distribution Preference**: As of Q2 2025, public funds significantly over - allocate convertible bonds in industries such as metals, chemicals, transportation, automobiles, agriculture, forestry, animal husbandry, and banking, and under - allocate those in industries such as petrochemicals, steel, construction decoration, public utilities, environmental protection, and power equipment [29]. - **Price, Valuation, and Rating Preferences**: As of the end of Q2 2025, public funds over - allocate convertible bonds in the 120 - 130 yuan range and above 150 yuan, and AA and AA - rated convertible bonds; they under - allocate other convertible bonds [29]. - **Differences in Sub - investor Structure**: Public funds account for about 30% in the overall convertible bond investor structure, but their influence varies in different industries, price ranges, and rating segments [35]. 3.2.2 Differences in Convertible Bond Holdings among Various Funds - **Differences in Convertible Bond Holdings by Fund Type**: Secondary bond funds, the main force in convertible bond allocation, have significantly reduced their convertible bond holdings since Q3 2023. Convertible bond funds and primary bond funds are important holders. The convertible bond positions of convertible bond funds have reached a historical high, while those of secondary bond funds, primary bond funds, and partial - debt hybrid funds have decreased [44][46]. - **Characteristics of Convertible Bond Funds' Holdings**: In Q2 2025, convertible bond funds increased their holdings in industries such as petrochemicals, public utilities, and communications, and decreased their holdings in upstream energy materials and mid - stream manufacturing industries. They stably over - allocate convertible bonds in the 120 - 130 yuan range and under - allocate those in the 100 - 120 yuan range [48][57]. 3.2.3 Characteristics of Convertible Bond Holdings of High - performing Funds - **Scale and Quantity of Convertible Bond Holdings**: Different high - performing funds have different scales and quantities of convertible bond holdings. For example, Fuguo Jiuli Stable Allocation has a relatively concentrated holding, while Huashang Fengli Enhancement has a large number of holdings but a small average holding per bond [73]. - **Industry, Rating, and Price Preferences**: Different high - performing funds have different preferences in terms of industry, rating, and price. For example, Fuguo Jiuli Stable Allocation prefers convertible bonds in the power equipment, banking, and pharmaceutical industries, while Huashang Fengli Enhancement prefers high - priced and manufacturing - related convertible bonds [74]. 3.3 How to Analyze Non - public Fund Convertible Bond Investments? 3.3.1 Starting from the "Top Ten Holders" of Individual Bonds - **Investor Classification**: Convertible bond investors are divided into 11 major categories and 24 sub - categories based on the names of bondholders. The top ten holders' data accounts for about 40% of the convertible bond market, and public funds, pension products, etc. frequently appear in the list [86][87]. - **Data Representativeness**: The data of the top ten holders is representative for analyzing the convertible bond investment preferences and characteristics of various investors. After excluding the "repurchase pledge special account" and "company - related institutions", the data (referred to as "top ten holders 2") can more objectively present the data conclusions [88][89]. 3.3.2 Preliminary Exploration of Non - public Fund Institutions' Convertible Bond Investments - **Industry Distribution of Convertible Bond Holdings**: As of the end of 2024, "private asset management" institutions hold more convertible bonds in the power equipment industry but less in pro - cyclical industries. "Securities self - operation" has a relatively high proportion of holdings in the steel, non - ferrous metals, and power equipment industries. "Insurance" has a relatively dispersed convertible bond portfolio [97]. - **Rating and Price Distribution of Convertible Bond Holdings**: "Private asset management" and "QFII" have a higher tolerance for low - rated convertible bonds. "Insurance" and "securities self - operation" have a relatively high proportion of AAA - rated convertible bonds. In terms of price, "private asset management" has a high proportion of convertible bonds below 100 yuan, while "insurance", "social security funds", and "QFII" mainly hold convertible bonds in the 110 - 120 yuan range [97][98].

Summary of Conference Call Records Industry Overview - The conference call primarily discusses the convertible bond market and its relationship with the stock market, highlighting the performance of sectors such as electronics and AI, which are expected to drive further valuation increases in convertible bonds [1][4][23]. Key Points and Arguments 1. **Market Dynamics**: The stock market has seen a significant increase in trading volume, rising from 1.5 trillion to over 2 trillion daily, indicating new incremental capital entering the market [4][5]. 2. **Convertible Bond Valuation**: Current valuations of convertible bonds are high but are expected to potentially break historical highs due to strong market sentiment and increased buying from public funds [3][4]. 3. **Investment Shifts**: As some bank convertible bonds near maturity, funds are likely to flow into sectors like photovoltaic and chemical industries, which are seen as new destinations for bank incremental capital [5][23]. 4. **Investor Composition**: The proportion of major institutional investors has not significantly increased, while the share of individual and general institutions has decreased, indicating a shift towards private equity and brokerage participation [6]. 5. **Performance of Strategies**: Stock-oriented strategies have performed the best, with gene allocation strategies in sectors like electronics and pharmaceuticals showing strong results, while high yield and low allocation strategies have underperformed [7][8]. 6. **Convertible Bond Premiums**: Stock-oriented convertible bonds have a relatively balanced premium compared to other types, suggesting potential for further increases in valuation [9][23]. 7. **Absolute Return Strategies**: Investors are focusing on low-crowding indicators to identify under-the-radar convertible bonds, as well as high alpha strategies that emphasize low premium rates [10][23]. Additional Important Insights 1. **Sector Recommendations**: Recommended convertible bonds include those from the chemical sector such as Hangyang and Feng Er, as well as small-cap stocks like Keshun and Qifan Tianeng, which are expected to show excess return potential [2][11]. 2. **Banking and Steel Recommendations**: In the 90-120 yuan valuation range, banks like Industrial Bank and steel companies like Youfa are highlighted for their potential upside despite recent price adjustments [12][13]. 3. **Market Sentiment**: The overall sentiment in the stock market remains strong, with expectations that convertible bond valuations will continue to rise as the stock market does not appear to have reached an extreme [9][23]. 4. **Future Trends**: The call emphasizes the importance of monitoring the performance of convertible bonds in relation to stock market movements, particularly in sectors with strong growth potential like AI and high-end manufacturing [22][23]. This summary encapsulates the key insights and recommendations from the conference call, focusing on the convertible bond market and its interconnections with broader market trends and sector performances.

Group 1 - In Q2 2025, funds reduced their convertible bond holdings by 10.06 billion to 262.13 billion, but the proportion of convertible bonds held by funds increased by 0.83 percentage points to 39.45% [1][4] - The primary category of funds that increased their convertible bond holdings was the first-level bond funds, which added 6.16 billion, while second-level bond funds, mixed bond funds, and flexible allocation funds reduced their holdings [7][8] - The trend of passive holdings in convertible bonds continued to rise, with the proportion increasing by 0.36 percentage points to 16.24%, reaching a new high [4][9] Group 2 - In terms of industry, funds mainly increased their holdings in basic chemicals, non-bank financials, electronics, and automotive convertible bonds, while significantly reducing their holdings in bank, machinery, and power equipment convertible bonds [2][16] - The concentration of fund holdings in individual convertible bonds decreased, with significant reductions in bank convertible bonds due to the risk of forced redemption [17][22] - The funds actively increased their positions in sectors with technological breakthroughs and policy support, such as robotics and innovative pharmaceuticals [20][22] Group 3 - The aging trend of convertible bond holdings continued, with the proportion of bonds with less than two years remaining increasing by 0.45 percentage points to 24.97% [16][18] - The first-level bond funds saw a significant increase in scale, with a 10.62% rise to 850.23 billion, while their convertible bond holdings increased by 9.26% [10][7] - The overall market for convertible bonds shrank significantly due to the accelerated exit of existing bonds, leading to a passive reduction in holdings by funds [4][9]

Performance Insights - In Q2 2025, convertible bond funds achieved a median return of 3.52%, outperforming pure bond funds which had returns of 0.96%[1] - The overall performance of typical fixed income + funds surpassed that of pure bond funds following a rapid market recovery after a sharp decline[1] Fund Size and Positioning - In Q2 2025, the size of convertible bond funds decreased by 3.67% (CNY 36 billion) to CNY 948 billion, while first and second-tier bond funds increased by CNY 800 billion and CNY 385 billion, reaching CNY 8,487 billion and CNY 8,077 billion respectively[2][20] - The convertible bond fund's position increased slightly by 0.18 percentage points to 91.41%, while first-tier bond funds saw a minor decrease of 0.11 percentage points to 8.54%[24] Market Dynamics - The decline in convertible bond positions was primarily due to passive reductions, as fund managers struggled to find suitable investment opportunities amidst high demand and rising prices[3][26] - The high valuation of convertible bonds has weakened the common low-price investment strategy, leading to a constrained capacity for bottom-layer investment strategies[3][26] Sector Allocation - Public funds focused on increasing allocations in financial securities and mid-to-low priced cyclical consumer sectors, while reducing holdings in banks and other sectors facing forced redemption[4][37] - The top holdings included financial sector bonds, with significant increases in holdings of bonds from banks and non-bank financial institutions[4][37] Investment Strategy - The demand for convertible bonds remains strong, suggesting a continued bullish stance as long as underlying stocks do not show a downward trend[4] - A "barbell" investment strategy is recommended, combining large-cap bank stocks with policy-driven domestic demand sectors and undervalued technology growth stocks[4]

Core Viewpoint - The report provides an overview of the performance and investment strategy of the Yongying Xincheng Mixed Securities Investment Fund for the second quarter of 2025, highlighting its focus on stable asset appreciation while managing risks effectively [1][2]. Fund Product Overview - Fund Name: Yongying Xincheng Mixed Securities Investment Fund - Fund Manager: Yongying Fund Management Co., Ltd. - Fund Custodian: Huaxia Bank Co., Ltd. - Total Fund Shares at Period End: 173,529,451.42 shares [2]. - Investment Objective: Long-term stable appreciation of net asset value [2]. - Investment Strategies: Includes major asset allocation strategies, stock investment strategies, convertible bond investment strategies, and futures investment strategies [2]. Financial Indicators and Fund Performance - As of the end of the reporting period, the net asset value of Yongying Xincheng Mixed A was 1.0466 RMB, with a net value growth rate of 1.05% against a benchmark return of 1.33% [10]. - The net asset value of Yongying Xincheng Mixed C was 1.0408 RMB, with a net value growth rate of 1.19% against a benchmark return of 1.33% [11]. - The fund's performance over the past three months showed a net value growth rate of 1.05% for Class A, 1.05% for Class C, and 1.19% for Class E [10][11]. Investment Portfolio Report - The fund's total assets included 192,186,502.32 RMB in bonds, representing 93.21% of total assets, with no stocks held at the end of the reporting period [12]. - The portfolio included 126,227,020.55 RMB in policy financial bonds, accounting for 69.70% of the fund's net assets [12]. Management Report - The fund management adhered to a strict fair trading system, ensuring equitable treatment of all investment portfolios without significant violations [9]. - The management team consists of experienced professionals, including Liu Xingyu with 11 years of experience and Yuan Xu with 15 years of experience in the securities industry [6][7].

Market Overview and Analysis - The primary market saw the issuance of government bonds, local bonds, and policy financial bonds amounting to 280.1 billion, 72.1 billion, and 161.0 billion respectively, with net financing of 199.9 billion, 21.6 billion, and 155.0 billion [1] - Non-financial credit bonds had a total issuance of 208.2 billion, with a net financing amount of 84.3 billion [1] - One new convertible bond was issued, expected to raise 0.7 billion [1] Secondary Market Review - Interest rates declined last week, influenced by factors such as the lowest funding rates of the year, the return of wealth management funds, reduced government bond issuance, and the stock-bond relationship [2] Liquidity Tracking - The net withdrawal through Open Market Operations (OMO) was 1.4 trillion, but fiscal spending supplemented liquidity, leading to a noticeable easing of funds at the beginning of the month [3] - Anonymous funds dropped to 1.3%, and one-year government stock certificates fell below 1.6% [3] Policy and Fundamentals - The Central Financial Committee emphasized the need for lawful governance of enterprises to curb low-price disorderly competition [4] - The manufacturing PMI for June recorded at 49.7, surpassing expectations and previous values [4] Overseas Market - The U.S. Congress passed the "Great Beauty" tax reduction bill, and non-farm employment numbers for June exceeded expectations [5] - The S&P 500 rose by 1.7% over the week, while the 10-year U.S. Treasury yield increased by 6 basis points [5] Equity Market - The A-share market saw most broad-based indices rise, driven by strong bank sector performance and favorable news in the innovation drug sector [6] - The Wind All A index increased by 1.22%, the CSI 300 rose by 1.54%, and the ChiNext surged by 1.50% [6] - Daily average trading volume decreased to 1.44 trillion, with a weekly average trading volume drop of 130.2 billion [6] - As of July 3, 2025, the total financing balance for All A reached 1,846.38 billion, an increase of 19.847 billion compared to June 26, marking nine consecutive trading days of net growth [6] Bond Market Strategy Outlook - The government bond supply pressure remains high in Q3, and the overall liquidity is expected to remain loose to support government bond issuance and stabilize growth [7] - Economic growth risks are increasing due to weakened export demand, a downturn in the real estate cycle, and reduced support from new policies [7] - Current bond investments have a high probability of success, but the potential for returns depends on the realization of fundamental expectations [7] - Convertible bonds face supply-demand contradictions, with liquidity remaining relatively loose, but the convertible bond index has reached new highs, indicating a need for careful selection of underlying assets [7]

Key Insights - As of June 2025, China's foreign exchange reserves stood at 33,174 billion USD, indicating a stable economic environment [1] - The convertible bond market showed a 3.3% increase in June, following a 4.7% rise in the stock market, driven by policy stimuli and geopolitical factors [2][3] - The life sciences upstream sector is experiencing a turning point, with a projected revenue growth of 10.75% year-on-year in 2024, driven by stable investment and domestic substitution trends [7][8] - The North Exchange is expected to maintain high trading activity and market attention, with a focus on new industries such as artificial intelligence and commercial aerospace for the second half of 2025 [12][17] Convertible Bond Market - The convertible bond market's valuation is not overly high, with structural opportunities still available, particularly in sectors showing improved economic conditions such as non-ferrous metals, machinery, agriculture, and computing [4][3] - The market is transitioning from a policy-driven focus to a fundamental pricing approach, with expectations of a 5% economic growth target being met [3][4] - Recommended convertible bonds for July include Guotou Convertible Bond, Ran 23 Convertible Bond, and others, indicating a strategic focus on sectors benefiting from policy support [4] Life Sciences Upstream Sector - The life sciences upstream sector is characterized by high specialization and significant barriers to entry, with major companies expanding and exploring international markets [7][8] - The sector is poised for growth due to the booming demand for innovative drugs, with the Chinese antibody drug market expected to reach 510.8 billion RMB by 2030 [8] - Mergers and acquisitions are becoming more prevalent, with domestic companies looking to replicate the growth paths of global giants, enhancing industry concentration and growth potential [9][10] North Exchange - The North Exchange's trading activity has slightly decreased, with an average daily turnover of approximately 279.83 billion RMB, but it remains higher than other markets [13] - The North Exchange's overall price-to-earnings ratio is around 50.4 times, indicating a slight decline but still higher than other boards, with the electronics sector showing the highest ratios [14] - The North Exchange is optimizing its evaluation system to support the high-quality development of small and medium-sized enterprises, focusing on innovation and market ecology improvement [15][17]

2025 年 06 月 21 日 利好因素增多，大盘转债继续领涨 ——转债周度跟踪 20250620 ⚫ 1. 周观点及展望 ⚫ 上涨动能减弱+海外因素扰动等因素影响下权益市场下跌，加之非银转债密集提议下修， 转债大盘表现好于小盘，非银、公用事业、银行、电力设备等板块领涨，底仓品种表现 亮眼，市场情绪仍高涨，转债估值向上突破关键点位。此外，评级下调仍是压制因素之 一，今年 5 月至 6 月 20 日共有 11 只转债被下调评级（2024 年同期共 13 只），转债评 级下调情况大致持平于去年同期，偏债型转债被下调评级后普遍表现较差，但平价水平、 违约预期整体好于去年，导致信用风险预期并未明显扩散，光伏转债震荡偏强。策略上， 股债震荡市预期下，估值强支撑下的转债资产有望录得不错相对收益，建议维持中性仓 位，勤交易，积少成多。配置上，建议仍以高股息大盘偏债转债为主，叠加平衡偏股方 向，重点关注近期提议下修的案例，寻找潜在强促转股意愿的标的。继续推荐不对称性 交易、双低动量及结合条款博弈。 ⚫ 2. 转债估值 债 券 周 评 相关研究 - 证 券 研 究 报 告 黄伟平 A0230524110002 huangwp ...

证券研究报告 | 债券定期报告 2025 年 06 月 10 日 关注科技板块转债机会 可转债策略周报（0603-0606） 成交久期缩短，收益率回落 一、一周行情回顾：转债市场随权益市场上涨 截至上周五，万得全 A 指数收于 5,156.21 点，一周上涨 1.61%；上证指数收于 3,385.36 点，一周上涨 1.13%；中证转债收于 433.92 点，一周上涨 1.08%；可 转债正股指数收于 1,855.59 点，一周上涨 2.39%。 权益市场方面，上证指数放量上涨。上周主要股指均上涨，其中创业板指领涨。 节奏上，周二到周四各指数持续上涨，周五小幅回调。分行业看，通信、有色 金属、电子、综合和计算机行业表现较好，家用电器、食品饮料、交通运输、 煤炭和钢铁行业跌幅领先。 转债行情方面，上周中证转债指数上涨，成交量转为增长。上周 AA-及以下级 别转债、小盘转债、高价转债表现相对占优。分行业看，轻工制造、有色金属、 计算机、家用电器和电子行业转债表现相对较好，银行、钢铁、商业贸易、建 筑材料和国防军工行业转债涨幅落后。个券层面，金陵转债（轻工制造）、亿 田转债（家用电器）、京源转债（公用事业）、华体转 ...

Summary of Conference Call Notes Company/Industry Involved - The discussion revolves around the application of reinforcement learning models in the convertible bond market. Core Points and Arguments 1. **Reinforcement Learning Model Performance** The model optimizes convertible bond returns by evaluating current buying behavior and future selling timing. Data from outside the sample indicates that since 2020, the model often suggests a buying recommendation of 0, indicating a lack of market buying opportunities, with only a few periods suggesting purchases [1][5][10]. 2. **Market Conditions and Investment Strategy** When market views are clear, specific investment recommendations can be emphasized. In contrast, when the market is ambiguous, it is more beneficial to focus on structural opportunities within specific sectors or industries rather than relying on overall market trends [1][6]. 3. **Risk Management and Positioning** Position management can be dynamically adjusted based on market conditions. The average position over the long term is 46%, which is suitable for combining with secondary bond funds or half-position convertible bonds. In extreme cases, the strategy may completely exit the market to avoid risks, maintaining a neutral viewpoint for flexible adjustments [1][13]. 4. **Model Limitations** The model is not suitable for all types of convertible bonds, particularly large-cap bonds in sectors like electricity and banking, due to differing patterns and large data volumes that exceed standard office equipment capabilities [1][10][12]. 5. **Historical Performance and Risk Avoidance** Historical data shows that the model effectively avoids trend risks, successfully steering clear of significant market downturns in January 2024 and March 2025, while re-entering during upward trends. However, it struggles with identifying specific liquidity issues in small-cap stocks [1][11]. 6. **Current Market Outlook** As of June 2024, the market model indicated an oversold condition, but the recovery took longer than expected. The current market model's viewpoint is neutral at 0.51, suggesting investors should carefully evaluate their strategies rather than making impulsive buy or sell decisions [1][14]. 7. **Investment Recommendations** The types of securities currently suitable for purchase include: - Long-term rising call options with low premiums - Individual bonds with high YTM and stable underlying stock performance - Bonds with moderate valuation elasticity, with the first category being the most recommended [2][15]. 8. **Combining Fundamental and Strategic Analysis** In convertible bond research, a detailed combination of fundamental and strategic analysis is essential. This approach helps investment managers effectively select securities for purchase and develop corresponding strategies [1][16]. 9. **Communication Skills of Convertible Bond Managers** Convertible bond investment managers must possess strong research and communication skills to explain complex products to non-professionals effectively. Clear communication is crucial, especially when addressing common recurring questions [1][18]. Other Important but Possibly Overlooked Content - The model's ability to avoid local optimization issues by introducing more factors and using random exploration strategies, such as simulated annealing, to enhance its generalization capabilities [1][9]. - The historical underperformance of near-term bonds, which often do not yield favorable results compared to full sample tests, suggesting a preference for selecting bonds with better long-term potential [1][17].